23 citations · 127 across the 56 of their papers we have counts for
27 papers · 1 filter
Finite horizon stochastic control for continuous-time mean-field systems with Poisson jumps
Huimin Han, Shaolin Ji, Weihai Zhang
The stochastic control problem for continuous-time mean-field stochastic differential equations with Poisson jumps over finite horizon is investigated in this paper.…
A BSDE approach to the asymmetric risk-sensitive optimization and its applications
Mingshang Hu, Shaolin Ji, Rundong Xu +1
This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined throu…
Global Convergence of Successive Approximations for Non-convex Stochastic Optimal Control Problems
Shaolin Ji, Rundong Xu
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject…
Maximum principle for discrete-time stochastic optimal control problem under distribution uncertainty
Mingshang Hu, Shaolin Ji, Xiaojuan Li
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax…
A deep learning method for solving stochastic optimal control problems driven by fully-coupled FBSDEs
Shaolin Ji, Shige Peng, Ying Peng +1
In this paper,we mainly focus on the numerical solution of high-dimensional stochastic optimal control problem driven by fully-coupled forward-backward stochastic differential equa…
A novel control method for solving high-dimensional Hamiltonian systems through deep neural networks
Shaolin Ji, Shige Peng, Ying Peng +1
In this paper, we mainly focus on solving high-dimensional stochastic Hamiltonian systems with boundary condition, which is essentially a Forward Backward Stochastic Differential E…